DERIVATIVE INSTRUMENTS (Tables)

6 Months Ended

Jun. 30, 2021

Derivative Instruments and Hedging Activities Disclosure [Abstract]

LOCATION AND AMOUNTS OF DERIVATIVE FAIR VALUES ON THE CONSOLIDATED BALANCE SHEET

The following table provides the balance sheet classifications of derivatives recorded at fair value:

	June 30, 2021						December 31, 2020
	Derivative notional amount		Derivative asset fair value(1)		Derivative liability fair value(1)		Derivative notional amount		Derivative asset fair value(1)		Derivative liability fair value(1)
Relating to investment portfolio:
Foreign exchange forward contracts	$	331,567	$	3,080	$	309	$	105,781	$	2	$	2,364
Relating to underwriting portfolio:
Foreign exchange forward contracts	1,118,590		60		9,956		1,197,012		18,873		—
Other underwriting-related contracts	75,000		—		8,117		75,000		—		9,122
Total derivatives			$	3,140	$	18,382			$	18,875	$	11,486

(1)Derivative assets and derivative liabilities are classified within other assets and other liabilities in the consolidated balance sheets.

RECONCILIATION OF GROSS DERIVATIVE ASSETS TO NET AMOUNTS PRESENTED IN BALANCE SHEETS

The following table provides a reconciliation of gross derivative assets and liabilities to the net amounts presented in the consolidated

balance sheets, with the difference being attributable to the impact of master netting agreements:

	June 30, 2021						December 31, 2020
	Gross amounts		Gross amounts offset		Net amounts(1)		Gross amounts		Gross amounts offset		Net amounts(1)
Derivative assets	$	7,583	$	(4,443)	$	3,140	$	27,765	$	(8,890)	$	18,875
Derivative liabilities	$	22,825	$	(4,443)	$	18,382	$	20,376	$	(8,890)	$	11,486

(1)Net asset and liability derivatives are classified within other assets and other liabilities in the consolidated balance sheets.

RECONCILIATION OF GROSS DERIVATIVE LIABILITIES TO NET AMOUNTS PRESENTED IN BALANCE SHEETS

The following table provides a reconciliation of gross derivative assets and liabilities to the net amounts presented in the consolidated

balance sheets, with the difference being attributable to the impact of master netting agreements:

	June 30, 2021						December 31, 2020
	Gross amounts		Gross amounts offset		Net amounts(1)		Gross amounts		Gross amounts offset		Net amounts(1)
Derivative assets	$	7,583	$	(4,443)	$	3,140	$	27,765	$	(8,890)	$	18,875
Derivative liabilities	$	22,825	$	(4,443)	$	18,382	$	20,376	$	(8,890)	$	11,486

(1)Net asset and liability derivatives are classified within other assets and other liabilities in the consolidated balance sheets.

TOTAL UNREALIZED AND REALIZED GAINS (LOSSES) ON DERIVATIVES NOT DESIGNATED AS HEDGES RECORDED IN EARNINGS

The following table provides the total unrealized and realized gains (losses) recognized in net income for derivatives not designated as hedges:

	Consolidated statement of operations line item that includes gain (loss) recognized in net income	Three months ended June 30,				Six months ended June 30,
		2021		2020		2021		2020
Relating to investment portfolio:
Foreign exchange forward contracts	Net investment gains (losses)	$	(537)	$	154	$	1,212	$	3,316
Relating to underwriting portfolio:
Foreign exchange forward contracts	Foreign exchange gains (losses)	(604)		(870)		(26,660)		(1,559)
Other underwriting-related contracts	Other insurance related income (losses)	344		470		1,005		(9,730)
Total		$	(797)	$	(246)	$	(24,443)	$	(7,973)